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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Simulation of coherent risk measures based on generalized scenarios
Lesnevski, Vadim; Nelson, Barry L.; Staum, Jeremy - In: Management science : journal of the Institute for … 53 (2007) 11, pp. 1756-1769
Persistent link: https://www.econbiz.de/10003593245
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Credit risk spillovers among financial institutions around the global credit crisis : firm-level evidence
Yang, Jian; Zhou, Yinggang - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2343-2359
Persistent link: https://www.econbiz.de/10010202770
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Option-implied intrahorizon value at risk
Leippold, Markus; Vasiljević, Nikola - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 397-414
Persistent link: https://www.econbiz.de/10012156632
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
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Nested simulation in portfolio risk measurement
Gordy, Michael B.; Juneja, Sandeep - In: Management science : journal of the Institute for … 56 (2010) 10, pp. 1833-1848
Persistent link: https://www.econbiz.de/10008701411
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Satisficing measures for analysis of risky positions
Brown, David B.; Sim, Melvyn - In: Management science : journal of the Institute for … 55 (2009) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10003873683